A Sovereign Risk Index for the Eurozone Based on Stochastic Dominance

We propose a new method to assess sovereign risk index in Eurozone countries using an approach that relies on consistent tests for stochastic dominance efficiency. The test statistics and the estimators are computed using mixed integer programming methods. The ranking of countries is performed together with an analysis of fiscal and external trade risk.

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Year of publication:	2013-10
Authors:	Agliardi, Elettra ; Pinar, Mehmet ; Stengos, Thanasis
Institutions:	Rimini Centre for Economic Analysis (RCEA)
Subject:	Nonparametric Stochastic Dominance \| Mixed Integer Programming \| Sovereign Risk \| Eurozone

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Extent:	application/pdf
Series:	Working Paper Series.
Type of publication:	Book / Working Paper
Classification:	C12 - Hypothesis Testing ; C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; G01 - Financial Crises
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010717643